I was playing around with my settings to see if I could find an answer for you, but discovered I have the opposite problem. Also iOS 15.0.1. I have Do Not Disturb on with NO people/app exceptions, yet when I called my phone from another line just now, the phone rang loud and clear as if I didn't have Do Not Disturb on at all! Not cool!
There used to be an option (that Apple appears to have removed or possibly buried elsewhere in the OS) that let you choose whether you wanted to always silence notifications when Do Not Disturb is on, or only when the phone is locked. So I made sure my phone was locked when I called it, yet it still rang.
The 15.0.2 update is out, so I will update my iPhone tonight and see if it's fixed.